Abstract: The paper analyses the interrelationship between Brent and Daqing oil price,BJ and Qinhuangdao steam coal price by using VAR model and Impulse response function.The result shows that there are long term equilibrium relationships between international and domestic energy prices.Brent oil price is the granger reason for steam coal prices and Daqing oil price.While BJ steam coal price and Daqing oil price is the granger reason for domestic coal price,and Daqing oil price is the granger reason for BJ steam coal price.The impulse between energy prices is positive and increases initially and decreases afterwards.The contribution of domestic oil price to domestic coal price equals to total contribution of international oil and steam coal price,which is nearly 42%.And domestic oil price has 3times impulse effect on BJ steam coal price than Brent oil price.While Brent oil price makes about 37%contribution to Daqing oil price fluctuation.This means that China,s energy market in a weak position in the international energy market.We need to strengthen energy prices early warning mechanism and energy reserves mechanisms.